Clarke Capital Management : Global Magnum

archived programs
Year-to-Date
N / A
Oct Performance
-5.52%
Min Investment
$ 100k
Mgmt. Fee
1.80%
Perf. Fee
25.00%
Annualized Vol
26.10%
Sharpe (RFR=1%)
0.37
CAROR
7.78%
Assets
$ 1.7M
Worst DD
-59.61
S&P Correlation
-0.14

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
8/1997
Global Magnum -5.52 -0.01 - 2.29 -45.06 -47.19 -43.09 391.40
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 177.05 198.39
+/- S&P 500 1.42 3.71 - -3.01 -74.16 -100.01 -220.14 193.01

Strategy Description

Summary

The Global Magnum program trades approximately 15 domestic and international commodity interests, 8 of these are either long or short interest rate contracts reflecting interest rates in Europe, the US, Canada and Australia. The balance of the commodity interests followed are currencies,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
Management Fee
1.80%
Performance Fee
25.00%
Average Commission
$17.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
41.52%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Interest Rates
52.00%
Currency FX
27.00%
Precious Metals
7.00%
Energy
7.00%
Grains
7.00%
Composition Pie Chart

Summary

The Global Magnum program trades approximately 15 domestic and international commodity interests, 8 of these are either long or short interest rate contracts reflecting interest rates in Europe, the US, Canada and Australia. The balance of the commodity interests followed are currencies, grains, metals and energies, both foreign and domestic. It utilizes variations of four of the models used in the Global Basic Program plus five additional models with similar time frame, risk control and profit-taking characteristics to the Global Basic models. These nine models have been selected for their ability as a group to provide a high return for the amount of exposure or time that a position is held. It should be noted that there will be times when there is significant correlation between markets within a market sector or between market sectors, possibly in an adverse direction to positions held in the client’s account. Clients of the Global Magnum program should be aware that this factor alone, although there are others, will lead to periods of extreme volatility and possibly very large drawdowns in an investor's equity. The Global Magnum program will, at times, have a significantly higher margin to equity ratio than the Worldwide Program, and at other times will trade very lightly due to the selectivity of its models. During period of higher margin to equity ratios, CCM attempts to counterbalance the inherent increased volatility one would expect with this higher ratio by using nine models with relatively short focus. These models have stringent entry techniques when evaluating initial risk and quick acting initial exit techniques. By industry standards these models would probably be classified as intermediate rather than short-term.

Investment Strategy

Primarily trend-following with some counter-trend models

Risk Management

Uses initial and trailing stops

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-59.61 71 - 5/1/2012 4/1/2018
-41.53 15 23 1/1/2009 4/1/2010
-26.21 12 4 10/1/2001 10/1/2002
-23.85 24 7 6/1/2005 6/1/2007
-21.06 8 5 7/1/1999 3/1/2000
-12.12 8 4 5/1/2004 1/1/2005
-11.95 3 1 1/1/1998 4/1/1998
-9.62 1 2 9/1/1997 10/1/1997
-9.46 6 1 5/1/2003 11/1/2003
-9.27 4 2 9/1/1998 1/1/1999
-8.73 4 3 3/1/2001 7/1/2001
-8.48 1 1 2/1/2003 3/1/2003
-7.87 1 1 9/1/2000 10/1/2000
-5.60 2 1 5/1/1998 7/1/1998
-4.99 1 1 12/1/2003 1/1/2004
-3.04 1 2 4/1/1999 5/1/1999
-2.90 3 2 3/1/2008 6/1/2008
-1.28 1 1 1/1/0001 8/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
62.75 4 2/1/2012 5/1/2012
54.06 5 11/1/2000 3/1/2001
50.27 2 4/1/2003 5/1/2003
46.91 5 11/1/2007 3/1/2008
46.51 2 8/1/1998 9/1/1998
31.13 2 11/1/2002 12/1/2002
26.80 3 11/1/1997 1/1/1998
25.53 2 5/1/2010 6/1/2010
25.28 3 4/1/2000 6/1/2000
24.46 1 9/1/2007 9/1/2007
23.03 5 2/1/2005 6/1/2005
22.33 4 2/1/2004 5/1/2004
21.53 2 8/1/2000 9/1/2000
20.54 1 9/1/1997 9/1/1997
20.38 7 7/1/2014 1/1/2015
19.06 1 11/1/2009 11/1/2009
18.37 3 2/1/1999 4/1/1999
17.64 2 8/1/2010 9/1/2010
17.56 2 4/1/2006 5/1/2006
16.44 3 7/1/2008 9/1/2008
16.38 1 5/1/1998 5/1/1998
14.80 5 5/1/2018 9/1/2018
14.11 3 11/1/2017 1/1/2018
13.81 5 5/1/2011 9/1/2011
12.52 1 2/1/2003 2/1/2003
11.33 3 7/1/2002 9/1/2002
11.22 1 10/1/2001 10/1/2001
10.92 1 12/1/2003 12/1/2003
9.41 1 5/1/2015 5/1/2015
8.47 2 11/1/2013 12/1/2013
7.74 1 11/1/2015 11/1/2015
7.33 1 2/1/2014 2/1/2014
7.04 2 10/1/2004 11/1/2004
6.87 1 8/1/2001 8/1/2001
6.66 2 12/1/2012 1/1/2013
5.85 1 7/1/2015 7/1/2015
5.84 1 11/1/2006 11/1/2006
5.17 1 11/1/1999 11/1/1999
4.80 2 6/1/1999 7/1/1999
4.66 1 1/1/2007 1/1/2007
4.65 2 7/1/2012 8/1/2012
4.49 3 11/1/2008 1/1/2009
4.07 2 6/1/2016 7/1/2016
3.76 1 11/1/2005 11/1/2005
3.69 1 3/1/2002 3/1/2002
2.60 1 5/1/2017 5/1/2017
1.56 1 9/1/2003 9/1/2003
1.37 1 12/1/2011 12/1/2011
0.72 1 4/1/2013 4/1/2013
0.69 1 10/1/2016 10/1/2016
0.52 1 7/1/2007 7/1/2007
0.44 1 3/1/2015 3/1/2015
0.39 1 5/1/2002 5/1/2002
0.38 1 3/1/2011 3/1/2011
0.20 1 6/1/2013 6/1/2013
0.19 1 12/1/2001 12/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.22 9 2/1/2009 10/1/2009
-27.36 4 3/1/2014 6/1/2014
-26.46 5 12/1/2009 4/1/2010
-25.21 6 12/1/2015 5/1/2016
-18.42 6 11/1/2016 4/1/2017
-17.36 3 2/1/2018 4/1/2018
-16.85 5 6/1/2006 10/1/2006
-15.57 5 10/1/2010 2/1/2011
-15.33 3 8/1/1999 10/1/1999
-13.45 2 8/1/2016 9/1/2016
-12.39 2 1/1/2002 2/1/2002
-12.20 5 6/1/2017 10/1/2017
-12.16 4 12/1/2005 3/1/2006
-11.95 3 2/1/1998 4/1/1998
-11.35 4 12/1/1999 3/1/2000
-11.24 1 10/1/2002 10/1/2002
-11.06 1 10/1/2007 10/1/2007
-10.88 4 7/1/2013 10/1/2013
-10.13 2 12/1/2004 1/1/2005
-10.01 1 7/1/2000 7/1/2000
-9.62 1 10/1/1997 10/1/1997
-9.40 1 4/1/2002 4/1/2002
-9.27 4 10/1/1998 1/1/1999
-8.82 5 2/1/2007 6/1/2007
-8.73 1 11/1/2001 11/1/2001
-8.73 4 4/1/2001 7/1/2001
-8.65 4 6/1/2004 9/1/2004
-8.48 1 3/1/2003 3/1/2003
-8.20 4 7/1/2005 10/1/2005
-8.00 3 6/1/2003 8/1/2003
-7.87 1 10/1/2000 10/1/2000
-7.82 1 12/1/2006 12/1/2006
-7.33 2 10/1/2011 11/1/2011
-7.29 1 1/1/2014 1/1/2014
-6.72 1 6/1/2012 6/1/2012
-6.64 1 4/1/2015 4/1/2015
-6.20 1 1/1/2003 1/1/2003
-6.06 3 9/1/2012 11/1/2012
-5.60 2 6/1/1998 7/1/1998
-5.52 1 10/1/2018 10/1/2018
-5.48 2 2/1/2013 3/1/2013
-5.36 3 8/1/2015 10/1/2015
-4.99 1 1/1/2004 1/1/2004
-3.10 2 10/1/2003 11/1/2003
-3.04 1 5/1/1999 5/1/1999
-2.90 3 4/1/2008 6/1/2008
-1.31 1 9/1/2001 9/1/2001
-1.28 1 8/1/1997 8/1/1997
-1.16 1 6/1/2002 6/1/2002
-1.14 1 1/1/2012 1/1/2012
-0.86 1 4/1/2011 4/1/2011
-0.78 1 2/1/2015 2/1/2015
-0.39 1 7/1/2010 7/1/2010
-0.22 1 5/1/2013 5/1/2013
-0.14 1 8/1/2007 8/1/2007
-0.12 1 6/1/2015 6/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods255.00253.00250.00244.00238.00232.00220.00208.00196.00
Percent Profitable45.1051.7856.4056.5658.8261.2170.9183.6583.67
Average Period Return0.892.585.2711.0916.1120.6133.5547.6364.09
Average Gain6.6211.5817.5931.1840.3946.7357.6964.5283.56
Average Loss-3.84-7.08-10.66-15.06-18.58-20.61-25.31-38.81-35.65
Best Period36.6542.9986.5494.47119.11117.00156.90234.83248.40
Worst Period-15.37-27.63-30.82-39.42-43.22-49.42-48.00-49.50-56.62
Standard Deviation7.5312.3919.0230.1637.2440.0649.6961.1473.15
Gain Standard Deviation7.3110.2115.9724.4128.8727.3737.3551.8563.14
Loss Standard Deviation3.235.096.9910.3811.2713.0913.7112.1520.69
Sharpe Ratio (1%)0.110.190.250.330.390.460.610.710.81
Average Gain / Average Loss1.721.641.652.072.172.272.281.662.34
Profit / Loss Ratio1.421.762.132.693.113.585.568.5112.01
Downside Deviation (10%)3.946.769.8214.8918.3120.9323.4825.2227.68
Downside Deviation (5%)3.756.198.6812.5914.7616.2616.9618.0018.41
Downside Deviation (0%)3.706.058.4112.0413.9315.1915.5016.4216.59
Sortino Ratio (10%)0.120.200.290.410.460.490.761.031.32
Sortino Ratio (5%)0.220.380.550.800.991.141.802.423.20
Sortino Ratio (0%)0.240.430.630.921.161.362.162.903.86

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 1 9.42 5/2015
Systematic Trader Index Month 1 9.42 5/2015
Diversified Trader Index Month 1 9.42 5/2015
IASG CTA Index Month 2 9.42 5/2015
Trend Following Strategy Index Month 9 8.13 7/2014
IASG CTA Index Year Rolling 7 53.33 2011 - 2012
Diversified Trader Index Month 10 5.46 4/2012
Trend Following Strategy Index Month 5 5.46 4/2012
Diversified Trader Index Month 1 13.83 3/2012
Systematic Trader Index Month 1 13.83 3/2012
Trend Following Strategy Index Month 1 13.83 3/2012
IASG CTA Index Month 1 13.83 3/2012
IASG CTA Index Month 1 16.76 2/2012
Trend Following Strategy Index Month 1 16.76 2/2012
Systematic Trader Index Month 1 16.76 2/2012
Diversified Trader Index Month 1 16.76 2/2012
Trend Following Strategy Index Month 8 0.21 6/2011
Diversified Trader Index Month 10 4.15 5/2011
Trend Following Strategy Index Month 5 4.15 5/2011
Trend Following Strategy Index Month 5 16.56 8/2010
Diversified Trader Index Month 5 16.56 8/2010
Systematic Trader Index Month 6 16.56 8/2010
IASG CTA Index Month 7 16.56 8/2010
IASG CTA Index Month 2 22.53 5/2010
Trend Following Strategy Index Month 2 22.53 5/2010
Systematic Trader Index Month 2 22.53 5/2010
Diversified Trader Index Month 2 22.53 5/2010
Diversified Trader Index Month 6 13.99 8/2008
IASG CTA Index Month 10 13.99 8/2008
Systematic Trader Index Month 8 13.99 8/2008
Trend Following Strategy Index Month 7 13.99 8/2008
Trend Following Strategy Index Month 7 0.61 7/2008
IASG CTA Index Month 8 8.43 3/2008
Systematic Trader Index Month 6 8.43 3/2008
Diversified Trader Index Month 5 8.43 3/2008
Trend Following Strategy Index Month 4 8.43 3/2008
Trend Following Strategy Index Month 5 9.50 12/2007
Systematic Trader Index Month 6 9.50 12/2007
Diversified Trader Index Month 9 9.50 12/2007
Systematic Trader Index Month 10 7.86 11/2007
Trend Following Strategy Index Month 7 7.86 11/2007
Diversified Trader Index Month 7 7.86 11/2007
Diversified Trader Index Month 7 24.46 9/2007
Systematic Trader Index Month 6 24.46 9/2007
IASG CTA Index Month 7 24.46 9/2007
Trend Following Strategy Index Month 5 24.46 9/2007
Trend Following Strategy Index Month 8 4.66 1/2007
Systematic Trader Index Month 4 6.69 5/2006
Diversified Trader Index Month 4 6.69 5/2006
IASG CTA Index Month 5 6.69 5/2006
Trend Following Strategy Index Month 3 6.69 5/2006
Diversified Trader Index Month 2 13.95 5/2005
Systematic Trader Index Month 2 13.95 5/2005
IASG CTA Index Month 2 13.95 5/2005
Trend Following Strategy Index Month 2 13.95 5/2005
IASG CTA Index 5 Year Rolling 10 184.75 1999 - 2004
IASG CTA Index Month 10 3.20 4/2004
Trend Following Strategy Index Month 1 3.20 4/2004
Diversified Trader Index Month 3 3.20 4/2004
Systematic Trader Index Month 5 3.20 4/2004
Trend Following Strategy Index Month 6 6.86 3/2004
Diversified Trader Index Month 8 6.86 3/2004
Systematic Trader Index Month 7 6.86 3/2004
IASG CTA Index 5 Year Rolling 7 169.74 1998 - 2003
Systematic Trader Index Month 2 36.65 5/2003
IASG CTA Index Month 2 36.65 5/2003
Trend Following Strategy Index Month 2 36.65 5/2003
Diversified Trader Index Month 2 36.65 5/2003
IASG CTA Index Month 3 9.97 4/2003
Systematic Trader Index Month 2 9.97 4/2003
Trend Following Strategy Index Month 2 9.97 4/2003
Diversified Trader Index Month 3 9.97 4/2003
Diversified Trader Index Month 3 28.51 12/2002
Trend Following Strategy Index Month 3 28.51 12/2002
Systematic Trader Index Month 3 28.51 12/2002
IASG CTA Index 5 Year Rolling 5 167.94 1997 - 2002
IASG CTA Index Month 3 28.51 12/2002
Trend Following Strategy Index Month 6 2.04 11/2002
Diversified Trader Index Month 7 2.04 11/2002
Systematic Trader Index Month 9 2.04 11/2002
IASG CTA Index 3 Year Rolling 5 74.87 1998 - 2001
Trend Following Strategy Index Month 10 11.22 10/2001
Diversified Trader Index Month 8 14.95 3/2001
IASG CTA Index Month 9 14.95 3/2001
Systematic Trader Index Month 8 14.95 3/2001
Trend Following Strategy Index Month 6 14.95 3/2001
IASG CTA Index Year Rolling 6 47.09 1999 - 2000
IASG CTA Index 3 Year Rolling 4 117.39 1997 - 2000
Diversified Trader Index Month 10 18.88 12/2000
Trend Following Strategy Index Month 10 0.39 9/2000
Diversified Trader Index Month 2 21.06 8/2000
Systematic Trader Index Month 2 21.06 8/2000
Trend Following Strategy Index Month 2 21.06 8/2000
IASG CTA Index Month 2 21.06 8/2000
IASG CTA Index Month 2 24.18 5/2000
Systematic Trader Index Month 2 24.18 5/2000
Trend Following Strategy Index Month 2 24.18 5/2000
Diversified Trader Index Month 2 24.18 5/2000
Trend Following Strategy Index Month 3 6.55 3/1999
Systematic Trader Index Month 4 6.55 3/1999

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.